Nonlinear and time-varying risk premia
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DOI: 10.1016/j.chieco.2020.101467
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More about this item
Keywords
Endogeneity; High-frequency data; Partially varying coefficient; Nonparametric; Nonlinearity; Realized volatility; Risk premium;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
Statistics
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